Interest Rate Derivatives
2019 YTD vs. 2018 YTD
- Total IRD traded notional and trade count increased by 7% and 3%, respectively
- Fixed-for-floating IRS traded notional increased by 1%, while trade count decreased by 0.3%
- FRAs traded notional and trade count both increased by 15%
- OIS traded notional and trade count increased by 14% and 17%, respectively
- 89% of total traded notional was cleared vs. 88% last year
- 60% of total traded notional was executed On SEF vs. 57% last year
2019 Current Week vs. 2018 Current Week
- Total IRD traded notional and trade count increased by 23% and 5%, respectively
- Fixed-for-floating IRS traded notional increased by 0.1%, while trade count decreased by 7%
- FRAs traded notional and trade count increased by 46% and 52%, respectively
- OIS traded notional and trade count increased by 48% and 41%, respectively
- 89% of total traded notional was cleared vs. 87% last year
- 58% of total traded notional was executed On SEF vs. 53% last year
Interest Rate Derivatives: Benchmark Data
Week Ending May 17, 2019
- SOFR traded notional totaled $4.0 billion, including $0.2 billion of basis swaps. Trade count totaled 10, including 3 basis swaps
- SONIA traded notional totaled $74.4 billion, including $5.1 billion of basis swaps. Trade count totaled 262, including 60 basis swaps
- There were no SARON trades
- TONA traded notional and trade count was $1.3 billion and 6, respectively
YTD Ending May 17, 2019
- SOFR traded notional totaled $57.4 billion, including $11.2 billion of basis swaps. Trade count totaled 183, including 59 basis swaps
- SONIA traded notional totaled $2.5 trillion, including $59.2 billion of basis swaps. Trade count totaled 4,221, including 447 basis swaps
- SARON traded notional and trade count was $2.3 billion and 11, respectively
- TONA traded notional totaled $51.0 billion, including $1.0 billion of basis swaps. Trade count totaled 163, including 1 basis swap
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Credit Derivatives
2019 YTD vs. 2018 YTD
- Total credit derivatives traded notional and trade count decreased by 11% and 4%, respectively
- CDX HY traded notional and trade count decreased by 14% and 4%, respectively
- CDX IG traded notional decreased by 5%, while trade count increased by 3%
- iTraxx Europe traded notional decreased by 5%, while trade count increased by 38%
- 80% of total traded notional was cleared vs. 83% last year
- 77% of total traded notional was executed On SEF vs. 79% last year
2019 Current Week vs. 2018 Current Week
- Total credit derivatives traded notional and trade count increased by 32% and 34%, respectively
- CDX HY traded notional and trade count increased by 65% and 76%, respectively
- CDX IG traded notional and trade count increased by 73% and 77%, respectively
- iTraxx Europe traded notional and trade count increased by 29% and 63%, respectively
- 81% of total traded notional was cleared vs. 78% last year
- 77% of total traded notional was executed On SEF vs. 72% last year